Monday, April 13, 2009

Roll-Up-and-Forward -- Sohu.com Inc

The Covered Calls Advisor Portfolio (CCAP) covered calls position in Sohu.com Inc(SOHU) was rolled-up-and-forward today (04/13/09) from the Apr09 $45.00s to the May09 $50.00s. The debit-spread transaction was executed as follows:
04/13/09 Buy-to-Close (BTC) 4 SOHU Apr09 $45.00s @ $5.20
04/13/09 Sell-to-Open (STO) 4 SOHU May09 $50.00s @ $4.30
Net Debit-Spread upon Roll-Up-and-Forward was $.90 ($5.20 - $4.30)

The transactions history to date is as follows:
02/24/09 Bought 400 SOHU @ $44.617
02/24/09 Sold 4 SOHU Mar09 $45.00 Calls @ $3.20
03/21/09 Mar09 Options Expired
03/23/09 Continuation Transaction -- Sell-to-Open (STO) 4 SOHU Apr $45s @ $1.45
Note: The price of SOHU was $40.10 today when the call options were sold.
04/13/09 Buy-to-Close (BTC) 4 SOHU Apr09 $45.00s @ $5.20
04/13/09 Sell-to-Open (STO) 4 SOHU May09 $50.00s @ $4.30
Net Debit-Spread upon Roll-Up-and-Forward was $.90 ($5.20 - $4.30)
Note: The price of SOHU was $49.90 today when the call options were sold.

The overall performance results(including commissions) for the SOHU transactions are as follows:
Stock Purchase Cost: $17,855.75
($44.617*400+$8.95 commission)

Net Profit:
(a) Options Income: +$1,468.65 (400*($3.20+$1.45-$5.20+$4.30) - 3*$10.45 commissions)
(b) Dividend Income: +$0.00
(c) Capital Appreciation (If stock price unchanged at $49.90): +$2,104.25
= ($49.90-$44.617)*400 - $8.95 commissions
(c) Capital Appreciation (If exercised at $50.00): +$2,144.25
= ($50.00-$44.617)*400 - $8.95 commissions

Total Net Profit(If stock price unchanged at $49.90): +$3,572.90
= (+$1,468.65 +$0.00 +$2,104.25)
Total Net Profit(If stock price exercised at $45.00): +$3,612.90
= (+$1,468.65 +$0.00 +$2,144.25)

Absolute Return if Stock Price Unchanged at $49.90: +20.0%
= +$3,572.90/$17,855.75
Annualized Return If Stock Price Unchanged (ARIU) +90.2%
(+$23.35/$17,855.75)*(365/81 days)

Absolute Return if Exercised at $50.00: +20.2%
= +$3,612.90/$17,855.75
Annualized Return If Exercised (ARIE) +91.2%
(+$3,612.90/$17,855.75)*(365/81 days)

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